Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3901 |
| Annualized Std Dev | 0.6072 |
| Annualized Sharpe (Rf=0%) | -0.6424 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3093.0000 |
| NAs | 1.0000 |
| Minimum | -0.1870 |
| Quartile 1 | -0.0193 |
| Median | -0.0015 |
| Arithmetic Mean | -0.0012 |
| Geometric Mean | -0.0020 |
| Quartile 3 | 0.0161 |
| Maximum | 0.2931 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | -0.0026 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0015 |
| Stdev | 0.0383 |
| Skewness | 0.5874 |
| Kurtosis | 5.9734 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0260 |
| Gain Deviation | 0.0299 |
| Loss Deviation | 0.0258 |
| Downside Deviation (MAR=210%) | 0.0313 |
| Downside Deviation (Rf=0%) | 0.0267 |
| Downside Deviation (0%) | 0.0267 |
| Maximum Drawdown | 0.9981 |
| Historical VaR (95%) | -0.0597 |
| Historical ES (95%) | -0.0872 |
| Modified VaR (95%) | -0.0529 |
| Modified ES (95%) | -0.0529 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-12-08 | 2021-02-01 | NA | -0.9981 | 3092 | 3058 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -9.4 | -9.4 |
| 2009 | -5.5 | 0.8 | -1 | -2.2 | 1.4 | -2.6 | -7 | -1.3 | 4.1 | 3.8 | -6.6 | 0.2 | -15.3 |
| 2010 | -5.9 | 0.2 | -4.9 | -1.7 | -0.2 | 8.7 | -4.1 | -0.4 | -3 | 0.5 | -3.2 | -2.7 | -16.1 |
| 2011 | -3.8 | -4.9 | -0.6 | 1.6 | 10.3 | 4.8 | 2.9 | -0.3 | 7 | 6.4 | 0.3 | 0.4 | 25.4 |
| 2012 | -2.9 | -5.2 | -0.4 | 0.4 | -5.6 | -7.6 | 4.2 | -9.1 | -1.3 | 0.2 | 4.7 | -1.9 | -22.7 |
| 2013 | -2.5 | -0.9 | 2.5 | 5.3 | 4.8 | 0.7 | 1.7 | 3.5 | 4.5 | 0.2 | -3 | 1.6 | 19.6 |
| 2014 | 0.2 | 1.3 | -0.3 | 1.1 | 2.7 | 0.4 | 0.5 | 0.9 | -1.4 | 3.8 | -12.1 | 7.5 | 3.5 |
| 2015 | -3.9 | -0.7 | -4.1 | -0.9 | -0.3 | 2.1 | 0.2 | 1.3 | -0.4 | 0.8 | -1 | 0.4 | -6.5 |
| 2016 | -1.8 | 0.3 | 4.3 | -2.5 | 0.1 | -10.2 | -0.8 | -2.6 | -1.1 | -5.2 | -0.5 | 2.8 | -16.7 |
| 2017 | 0.2 | -0.7 | -1 | 3.8 | 0.1 | -0.1 | 1.8 | -1 | 2.2 | -4.9 | 0 | -1.2 | -1 |
| 2018 | 1.1 | -1.4 | -0.9 | 2.1 | 0.3 | -1.2 | 1.6 | 0.6 | 1.9 | -6.3 | 1.9 | -1.4 | -1.9 |
| 2019 | 1.6 | 6.3 | 0.4 | 4.1 | -0.8 | 2.3 | -1.4 | -0.8 | -2.9 | -0.1 | -0.9 | 0.7 | 8.4 |
| 2020 | -1.7 | 11.7 | 1.3 | 0.6 | -4.2 | 2.4 | -8.5 | 0.6 | -4.7 | -2.4 | -12.6 | 1.5 | -16.7 |
| 2021 | -15.9 | -0.2 | -1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -17.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-12-03 2646 SPY 87.3 0.024 0.0194 -0.101 -0.296 -0.403 -0.311 -0.186 GLD 76.2 -0.01 -0.058
2 2008-12-04 2750 SPY 85.3 -0.0231 -0.0412 -0.150 -0.314 -0.427 -0.328 -0.204 GLD 75.5 -0.0089 -0.0607
3 2008-12-05 2799 SPY 87.9 0.0308 -0.024 -0.0859 -0.308 -0.418 -0.305 -0.183 GLD 74.5 -0.013 -0.0721
4 2008-12-08 2411 SPY 91 0.0349 0.108 0.0015 -0.262 -0.397 -0.282 -0.148 GLD 76.2 0.0225 0.0072
5 2008-12-09 2466 SPY 89.5 -0.0165 0.0496 -0.0465 -0.277 -0.412 -0.290 -0.168 GLD 76.3 0.0018 -0.0081
6 2008-12-10 2300 SPY 90.1 0.0068 0.032 -0.0272 -0.282 -0.391 -0.285 -0.156 GLD 79.8 0.0448 0.0469
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
